Open only the .001 file using a utility like 7-Zip or WinRAR. The software will automatically detect and join the remaining parts.
Ensure you have the complete set of numbered files. If any part is missing, the extraction will fail.
If you get an "unexpected end of archive" or "CRC error," one of the pieces may be corrupted or incomplete. You can use the 7-Zip "Test" function to identify which part is broken.